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Filipović, Damir - 2012

This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …

Persistent link: https://www.econbiz.de/10009558387

Empirical Asset Pricing via Ensemble Gaussian Process Regression

Filipović, Damir; Pasricha, Puneet - 2022

We introduce an ensemble learning method based on Gaussian Process Regression (GPR) for predicting conditional expected stock returns given stock-level and macro-economic information. Our ensemble learning approach significantly reduces the computational complexity inherent in GPR inference and...

Persistent link: https://www.econbiz.de/10014236083

Structured debt ratings : evidence on conflicts of interest

Efing, Matthias; Hau, Harald - 2013

We test if issuers of asset- and mortgage-backed securities receive rating favors from agencies with which they maintain strong business relationships. Controlling for issuer fixed effects and a large set of credit risk determinants, we show that agencies publish better ratings for those issuers...

Persistent link: https://www.econbiz.de/10009750621

Machine learning with kernels for portfolio valuation and risk management

Boudabsa, Lotfi; Filipović, Damir - 2019

We introduce a simulation method for dynamic portfolio valuation and risk management building on machine learning with kernels. We learn the dynamic value process of a portfolio from a finite sample of its cumulative cash flow. The learned value process is given in closed form thanks to a...

Persistent link: https://www.econbiz.de/10012052380

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Fernandez-Arjona, Lucio; Filipović, Damir - 2020

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. The model learns the features necessary for an effective low-dimensional representation, overcoming the curse...

Persistent link: https://www.econbiz.de/10012219260

Global portfolio rebalancing and exchange rates

Costa Neto, Nelson Camanho da; Hau, Harald; Rey, Hélène - 2018

We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater intensity under...

Persistent link: https://www.econbiz.de/10011875988

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...

Persistent link: https://www.econbiz.de/10003979515

Constructing long/short portfolios with the Omega ratio

Gilli, Manfred; Schumann, Enrico; Tollo, Giacomo di; … - 2008

We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...

Persistent link: https://www.econbiz.de/10003966094

An empirical analysis of alternative portfolio selection criteria

Gilli, Manfred; Schumann, Enrico - 2009

In modern portfolio theory, financial portfolios are characterised by a desired property, the 'reward', and something undesirable, the 'risk'. While these properties are commonly identified with mean and variance of returns, respectively, we test alternative specifications like partial and...

Persistent link: https://www.econbiz.de/10003967051

Optimal investment and premium policies under risk shifting and solvency regulation

Filipović, Damir; Kremslehner, Robert; Muermann, Alexander - 2011

Limited liability creates a conflict of interests between policyholders and shareholders of insurance companies. It provides shareholders with incentives to increase the risk of the insurer's assets and liabilities which, in turn, might reduce the value policyholders attach to and premiums they...

Persistent link: https://www.econbiz.de/10009009505